Mechanics of forming and estimating dynamic linear economies

Lars Peter Hansen, Ellen R. McGrattan and Thomas Sargent ()

No 182, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: This paper catalogues formulas that are useful for estimating dynamic linear economic models. We describe algorithms for computing equilibria of an economic model and for recursively computing a Gaussian likelihood function and its gradient with respect to parameters. We display an application to Rosen, Murphy, and Scheinkman's (1994) model of cattle cycles.

Keywords: Econometric; models (search for similar items in EconPapers)
Date: 1994
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Chapter: Mechanics of forming and estimating dynamic linear economies (1996)
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